Covariance measurement in the presence of non-synchronous trading and market microstructure noise (Q737261): Difference between revisions

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+Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?
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+Covariance measurement in the presence of non-synchronous trading and market microstructure noise
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+Consistent estimation of covariation under nonsynchronicity
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+On covariance estimation of non-synchronously observed diffusion processes
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+Microstructure noise in the continuous case: the pre-averaging approach
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